Categories

Paper Projects
R

Blogroll

R Bloggers

You are here

Categories

Paper Projects
R

Blogroll

R Bloggers

Event Study RStudio Addin

We developed a easy to use and intuitive Event Study addin for the popular R IDE from RStudio. This addin is designed in view to our web frontend, but with the advantage that the user can immediately work with the results from R. Furthermore, as there are many test statistics we hope that this addin helps you to perform your Event Study in a fast manner.

Using the EventStudyTools R package: An example

The attached sample data and request files were constructed to illustrate the use of the EventStudyTools R-package.

The files hold data about the addition of several well known firms to the S&P 500 index in the late 1990s. With this data, the R package will investigate for you the question whether a company’s stock value increases if the firm is added to the S&P 500 index. This is a common research question and has been adressed, among others, by Anthony W. Lynch and Richard R. Mendenha in a 1997 study: They found a positive effect of about 3.8% over the period starting the day after the announcement and ending the day before the effective date of the change (see: Mergers & Acquistions).

You can use our R-package to easily investigate such and similar questions.